Dissertation/Thesis Abstract

Robust and Computationally Efficient Methods for Fitting Loss Models and Pricing Insurance Risks
by Zhao, Qian, Ph.D., The University of Wisconsin - Milwaukee, 2017, 89; 10259880
Abstract (Summary)

Continuous parametric distributions are useful tools for modeling and pricing insurance risks, measuring income inequality in economics, investigating reliability of engineering systems, and in many other areas of application. In this dissertation, we propose and develop a new method for estimation of their parameters—the method of Winsorized moments (MWM)—which is conceptually similar to the method of trimmed moments (MTM) and thus is robust and computationally efficient. Both approaches yield explicit formulas of parameter estimators for location-scale and log-location-scale families, which are commonly used to model claim severity. Large-sample properties of the new estimators are provided and corroborated through simulations. Their performance is also compared to that of MTM and the maximum likelihood estimators (MLE). In addition, the effect of model choice and parameter estimation method on risk pricing is illustrated using actual data that represent hurricane damages in the United States from 1925 to 1995. In particular, the estimated pure premiums for an insurance layer are computed when the lognormal, log-logistic and log-Laplace models are fitted to the data using the MWM, MTM, and MLE methods.

Indexing (document details)
Advisor: Brazauskas, Vytaras, Ghorai, Jugal
Commitee: Beder, Jay, Fan, Dashan, Wei, Wei
School: The University of Wisconsin - Milwaukee
Department: Mathematics
School Location: United States -- Wisconsin
Source: DAI-B 78/10(E), Dissertation Abstracts International
Source Type: DISSERTATION
Subjects: Mathematics, Statistics
Keywords: Claim severity, Risk analysis, Robust statistics, Trimmed data, Winsorized data
Publication Number: 10259880
ISBN: 9781369810448
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